S. Leybourne

发表

A General Method of Testing for Random Parameter Variation in Statistical Models

Brendan McCabe, Stephen J. Leybourne, B. McCabe, 2000 .

A Direct Test for Cointegration Between a Pair of Time Series

Paul Newbold, Tae-Hwan Kim, Dimitrios V. Vougas, 2002 .

A Consistent Test for a Unit Root

Brendan McCabe, Stephen J. Leybourne, B. McCabe, 1994 .

Tests for a change in persistence against the null of difference-stationarity

P. Newbold, S. Leybourne, Tae-Hwan Kim, 2003 .

Tests for Forecast Encompassing

P. Newbold, S. Leybourne, David S. Harvey, 1998 .

Testing the equality of prediction mean squared errors

Paul Newbold, David I. Harvey, Stephen J. Leybourne, 1997 .

SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2009, Econometric Theory.

A Parametric approach to testing the null of cointegration

B. McCabe, S. Leybourne, Y. Shin, 1997 .

More powerful panel data unit root tests with an application to mean reversion in real exchange rates

Paul Newbold, Tae-Hwan Kim, Stephen J. Leybourne, 2004 .

Panel Stationarity Tests with Cross-sectional Dependence

B. McCabe, S. Leybourne, D. Harris, 2003 .

Measurement of trend growth in European industrial output before 1914: Methodological issues and new estimates

S. Leybourne, N. Crafts, T. Mills, 1990 .

Stochastic cointegration: estimation and inference

David Harris, Brendan McCabe, Stephen J. Leybourne, 2002 .

Stochastic Cointegration A Semi-Parametric Framework for dealing with Excess Volatility

B. McCabe, S. Leybourne, D. Harris, 2008 .

Testing for Stochastic Cointegration and Evidence for Present Value Models

B. McCabe, S. Leybourne, D. Harris, 2003 .

ECONOMIC GROWTH IN NINETEETH CENTURY BRITAIN: COMPARISONS WITH EUROPE IN THE CONTEXT OF GERSCHENKRON'S HYPOTHESES

S. Leybourne, N. Crafts, T. Mills, 1988 .

Testing for a Change in Mean under Fractional Integration

S. Leybourne, A. Robert Taylor, F. Iacone, 2016 .

A Bootstrap Stationarity Test for Predictive Regression Invalidity

David I. Harvey, S. Leybourne, Iliyan Georgiev, 2018, Journal of Business & Economic Statistics.

Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium

David I. Harvey, S. Leybourne, Robert Taylor, 2020 .

LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS

David I. Harvey, S. Leybourne, D. Harris, 2009, Econometric Theory.

U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks

P. Newbold, S. Leybourne, M. Wohar, 2001 .

Testing for Time Series Linearity

David I. Harvey, S. Leybourne, 2007 .

Examination of Some More Powerful Modifications of the Dickey-Fuller Test

P. Newbold, S. Leybourne, Tae-Hwan Kim, 2003 .

Mean Reversion of Real Exchange Rates in High-Inflation Countries

S. Leybourne, P. Mizen, M. Bleaney, 1999 .

Harvey, David I. and Leybourne, Stephen J. and Sollis, Robert and Taylor, A.M. Robert (2015) Tests for explosive financial bubbles in the presence of non-

David I. Harvey, S. Leybourne, R. Sollis, 2017 .

Recent Developments in Time Series

P. Newbold, S. Leybourne, 2003 .

Trade liberalisation and growth

D. Greenaway, S. Leybourne, D. Sapsford, 1997 .

Randomized unit root processes for modelling and forecasting financial time series: Theory and applications

Terence C. Mills, Brendan McCabe, Stephen J. Leybourne, 1996 .

Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence

B. McCabe, S. Leybourne, D. Harris, 2005 .

On the Size Properties of Phillips–Perron Tests

P. Newbold, S. Leybourne, 1999 .

Tests for an end-of-sample bubble in financial time series

David I. Harvey, S. Leybourne, A. M. Taylor, 2017 .

Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble

David I. Harvey, S. Leybourne, R. Sollis, 2015 .

Testing for a unit root against ESTAR stationarity

Emily J. Whitehouse, David I. Harvey, S. Leybourne, 2017 .

Testing for nonlinear deterministic components when the order of integration is unknown

David I. Harvey, S. Leybourne, Lisa Xiao, 2010 .

Testing for nonlinear trends when the order of integration is unknown

David I. Harvey, S. Leybourne, Lisa Xiao, 2009 .

Can Economic Time Series Be Differenced to Stationarity

Brendan McCabe, Stephen J. Leybourne, Andrew Tremayne, 1996 .

Testing for unit roots: a simple alternative to Dickey—Fuller

S. Leybourne, 1994 .

Empirical performance of the AIDS model: constant-coefficient versus time-varying-coefficient approaches

Stephen J. Leybourne, S. Leybourne, 1993 .

Simple Tests for Stock Return Predictability with Improved Size and Power Properties

David I. Harvey, S. Leybourne, A. M. Taylor, 2020 .

Disinflation and Central Bank Independence in Australia, Canada and New Zealand: Evidence from Smooth Transition Analysis

S. Leybourne, P. Mizen, 1997 .

A Powerful Test for Linearity When the Order of Integration is Unknown

David I. Harvey, David I Harvey, S. Leybourne, 2007 .

UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2009, Econometric Theory.

A Simple Test for Cointegration

B. McCabe, S. Leybourne, 2009 .

Stock Market Linkages - A Cointegration Approach

S. Leybourne, Kilian Heilmann, Dissertation Supervisor, 2010 .

SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION

S. Leybourne, A. Taylor, 2009, Econometric Theory.

Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility

David I. Harvey, S. Leybourne, Giuseppe Cavaliere, 2008 .

Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown

David I. Harvey, S. Leybourne, 2016 .

Break Date Estimation for Models with Deterministic Structural Change

David I. Harvey, S. Leybourne, 2014 .

A simple, robust and powerful test of the trend hypothesis

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2007 .

Understanding the disinflations in Australia, Canada and New Zealand using evidence from smooth transition analysis

S. Leybourne, P. Mizen, 1999 .

Improving the accuracy of asset price bubble start and end date estimators

David I. Harvey, S. Leybourne, R. Sollis, 2017 .

Smooth transitions and GDP growth in the European Union

D. Greenaway, S. Leybourne, D. Sapsford, 2000 .

Date-stamping multiple bubble regimes

David I. Harvey, Stephen J. Leybourne, Emily J. Whitehouse, 2020 .

Modelling Trade Liberalisation and Economic Growth using Smooth Transitions Analysis: Some New Evidence for Turkey

D. Greenaway, S. Leybourne, D. Sapsford, 2001 .

MODELING GROWTH (AND LIBERALIZATION) USING SMOOTH TRANSITIONS ANALYSIS

D. Greenaway, S. Leybourne, D. Sapsford, 1997 .

Trade liberalization and Growth

D. Greenaway, S. Leybourne, D. Sapsford, 1997 .

Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process

Paul Newbold, Tae-Hwan Kim, P. Newbold, 2004 .

Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates

P. Newbold, S. Leybourne, R. Sollis, 2002 .

Simple Tests for Stock Return Predictability with Good Size and Power Properties

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2021 .

Real‐time detection of regimes of predictability in the US equity premium

David I. Harvey, S. Leybourne, R. Sollis, 2020, Journal of Applied Econometrics.

MODIFIED KPSS TESTS FOR NEAR INTEGRATION

B. McCabe, S. Leybourne, D. Harris, 2006, Econometric Theory.

TESTING FOR LONG MEMORY

Brendan McCabe, Stephen J. Leybourne, David C.H. Harris, 2006, Econometric Theory.

Seasonal unit root tests with seasonal mean shifts

David I. Harvey, P. Newbold, S. Leybourne, 2002 .

Real Exchange Rate Dynamics Under the Current Float: A Re-Examination

S. Leybourne, M. Bleaney, 2003 .

TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY

David I. Harvey, S. Leybourne, Giuseppe Cavaliere, 2011, Econometric Theory.

TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND

David Harris, David I. Harvey, Stephen J. Leybourne, 2009, Econometric Theory.

Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]

David I. Harvey, S. Leybourne, A. Taylor, 2009 .

The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis

P. Newbold, S. Leybourne, 1999 .

Unit roots and smooth transitions

Paul Newbold, Dimitrios V. Vougas, Stephen J. Leybourne, 1998 .

TESTING FOR UNIT ROOTS USING FORWARD AND REVERSE DICKEY‐FULLER REGRESSIONS

Stephen J. Leybourne, S. Leybourne, 1995 .

Examination of Some More Powerful Modifications of the Dickey–Fuller Test

Paul Newbold, Tae-Hwan Kim, Stephen J. Leybourne, 2005 .

Robust and Powerful Tests for Nonlinear Deterministic Components

David I. Harvey, S. Leybourne, Sam Astill, 2015 .

Tests for explosive financial bubbles in the presence of non-stationary volatility☆

David I. Harvey, S. Leybourne, R. Sollis, 2016 .

Testing for unit roots in the presence of uncertainty over both the trend and initial condition

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2012 .

Seasonal Unit Root Tests and the Role of Initial Conditions

David I. Harvey, S. Leybourne, A. Taylor, 2008 .

Forecast evaluation tests and negative long-run variance estimates in small samples

Emily J. Whitehouse, David I. Harvey, S. Leybourne, 2017 .

Testing Equal Forecast Accuracy and Forecast Encompassing in Small Samples ∗

Emily J. Whitehouse, David I. Harvey, S. Leybourne, 2016 .

The excess comovement of commodity prices revisited

S. Leybourne, G. Reed, T. Lloyd, 1994 .

On infimum Dickey-Fuller unit root tests allowing for a trend break under the null

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2014, Comput. Stat. Data Anal..

Modified Stationarity Tests With Data-Dependent Model-Selection Rules

Brendan McCabe, Stephen J. Leybourne, B. McCabe, 1999 .

The Climacteric in Late Victorian Britain and France: A Reappraisal of the Evidence

S. Leybourne, N. Crafts, T. Mills, 1989 .

Trends and Cycles in British Industrial Production, 1700–1913

Terence C. Mills, Nicholas Crafts, Stephen J. Leybourne, 1989 .

Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

Paul Newbold, Terence C. Mills, Stephen J. Leybourne, 1998 .

Analysis of a panel of UK macroeconomic forecasts

David I. Harvey, P. Newbold, S. Leybourne, 2001 .

Detecting Multiple Changes in Persistence

Tae-Hwan Kim, Stephen J. Leybourne, A. M. Robert Taylor, 2007 .

Real‐Time Monitoring of Bubbles and Crashes

Emily J. Whitehouse, David I. Harvey, S. Leybourne, 2023, Oxford Bulletin of Economics and Statistics.

Real‐Time Monitoring for Explosive Financial Bubbles

David I. Harvey, S. Leybourne, A. Robert Taylor, 2018, Journal of Time Series Analysis.

Stochastic unit roots modelling of stock price indices

Paul Newbold, Robert Sollis, Stephen J. Leybourne, 2000 .

Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]

David I. Harvey, S. Leybourne, A. Taylor, 2007 .

SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY

David I. Harvey, S. Leybourne, Yang Zu, 2019, Econometric Theory.

How great are the great ratios?

David I. Harvey, P. Newbold, S. Leybourne, 2003 .

On the distribution of some test statistics for coefficient constancy

B. McCabe, S. Leybourne, 1989 .

Testing for Parameter Variation in Non-Linear Regression Models

B. McCabe, S. Leybourne, 1993 .

Estimation and testing of time‐varying coefficient regression models in the presence of linear restrictions

Stephen J. Leybourne, S. Leybourne, 1993 .

Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification

Paul Newbold, Tae-Hwan Kim, P. Newbold, 2004 .

Power of a Unit‐Root Test and the Initial Condition

David I. Harvey, S. Leybourne, 2006 .

On Testing for Unit Roots and the Initial Observation

David I. Harvey, S. Leybourne, 2005 .

Testing for Co‐explosive Behaviour in Financial Time Series

David I. Harvey, S. Leybourne, A. Evripidou, 2022, Oxford Bulletin of Economics and Statistics.

Improved tests for stock return predictability

David I. Harvey, S. Leybourne, A. Taylor, 2023, Econometric Reviews.

Bonferroni Type Tests for Return Predictability and the Initial Condition

David I. Harvey, S. Leybourne, Sam Astill, 2023, Journal of Business & Economic Statistics.

A Bootstrap Stationarity Test for Predictive Regression Invalidity

S. Leybourne, D. Harvey, Robert Taylor, 2018, Journal of Business & Economic Statistics.

Essex Finance Centre Working Paper Series Working Paper No 29 : 01-2018 Testing for Parameter Instability in Predictive Regression Models “

David I. Harvey, S. Leybourne, Iliyan Georgiev, 2018 .